Testing for changes in the unconditional variance of financial time series
By Vicent Aragó Manzana, Andreu Sansó Rosselló, José Silvestre. 2004
202 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/87379e78390faa801d29c6188c55b6e8e26877ed
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Walid Mensi
- Amine Lahiani
- Muhammad Shahbaz
- Duc Khuong Nguyen
- Sang Hoon Kang
- Shawkat Hammoudeh
- Mohamed Arouri
- X. Vo
Citations in the corpus
- THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS (2008, background): “…error process+ We suggest a corrected version that has a limit distribution free of nuisance parameters+We also discuss how it provides an improvement over the standard approach to testing for a change in the variance in a univariate times series+ Simulation evidence is presented to support this+”
- Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “sum of squares (ICSS) algorithm of Sanso et al. (2004) which modified the original Inclán”
- Does financial development influence renewable energy consumption to achieve carbon neutrality in the USA (2021, methodology): “Nonlinearity in time series commodity data (Gold, Oil, Palladium, Platinum, Silver, Titanium) dynamics is also shown in Shahzad et al. (2017), who used the BDS nonlinearity test and the adjusted ICSS structural break test of Sanso et al. (2004).”
- Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, unknown): “where ω(ι, ω)is a Bartlett window and ω̃4 estimate depends on the choice of m parameter with the Newey-West method (Sanso et al., 2004).”
- Contagion and Banking Crisis - International Evidence for 2007-2009 (2015, methodology): “We follow the approach of Wang and Nguyen Thi (2012) and define the crisis period endogenously using the iterative cumulative sum of square (ICSS) algorithm based on the CUSUM test to detect the structural change in variance of an individual return series (Inclan and Tiao, 1994; Sanso et al., 2004) ”